臺灣博碩士論文加值系統

本文以Campbell and Cochrane(1999)的消費基礎模型及Wachter(2006)對其模型的延伸設定為架構。在兩國相對的景氣循環下，藉由各國代表性個人不同的借貸儲蓄偏好(景氣差時，美國人偏好借貸，台灣人偏好儲蓄)，使得無風險利率走勢有不同變化(美國的無風險利率漲，台灣的無風險利率跌)，進而推導出風險資產價格差異與溢酬(美國的風險資產價格漲，台灣的風險資產價格跌)。
分時段下的實證分析中發現，在台灣與美國景氣同步下滑時(前期)，因借貸儲蓄偏好不同，造成價差與本益比差的幅度顯著變大，而呈現顯著差異；而後期中(美國景氣好轉，台灣景氣仍為下降)，因借貸儲蓄偏好造成價差與本益比差的幅度變小，使得顯著差異的家數減少。而前後期的溢酬皆不顯著。

This paper follows the consumption-based model of Campbell and Cochrane(1999) and the extension of Wachter(2006). Under the different business cycle of two countries，the riskless interest rates have different direction because of the preferences of borrowing and saving money. Forward，we can derive the difference in risky asset prices and returns.
In analysis, under the same，going down direction of business cycle in Taiwan and U.S.，we find the differences between prices and P/D ratios become bigger because of the different preferences of these countries. Under the contrary directions of business cycle，they become smaller.

謝辭……………………………………………………………………i
摘要……………………………………………………………………ii
Abstract………………………………………………………………iii
目錄……………………………………………………………………iv
圖目錄…………………………………………………………………vi
表目錄…………………………………………………………………vii

第一章 前言………………………………………………………1
第1節　 研究動機與目的…………………………………………1
第2節　 研究方法…………………………………………………2
第3節　 研究流程與架構…………………………………………3
第二章 文獻回顧…………………………………………………4
第1節　 存託憑證…………………………………………………6
第2節　 超額報酬…………………………………………………7
第3節　 消費基礎模型……………………………………………11
第三章 消費基礎模型與實證方法………………………………15
第1節　 消費基礎模型設定 ……………………………15
第2節　 實證方法…………………………………………………21
第3節　 偏好參數…………………………………………………24
第四章 實證結果與分析…………………………………………27
第1節　 消費過程與通貨膨漲過程之參數值估計………………28
第2節　 資料與模型之報酬率差異………………………………33
第五章 結論………………………………………………………42
附錄……………………………………………………………………45
附錄A依地區與國別在美國發行ADR數量……………………………45
附錄B求解本益比………………………………………………………47
參考文獻………………………………………………………………50

國內部分：
黃營杉及李銘章（民94），「台灣母公司股票報酬與其ADR報酬間資訊傳遞之研究」東吳經濟商報，第四十八期，頁1-32。
謝文良（民91），「價格發現、資訊傳遞與市場整合- 台股期貨市場之研究」，財務金融學刊，第十卷第三期，頁1-31。
沈中華及邱志豪（民88），「交易成本、GDR與股價的套利：門檻共整合應用」，中國財務學刊，第七卷第二期，頁89-112。
高櫻芬及莊奕真（民93），「美國存託憑證的發行對於標的股預期報酬與波動的影響-台灣與日本上市公司的實證研究」，台灣銀行季刊 第五十五卷第四期，頁263-276。
國外部分：
Abel, A., 1990. Asset prices under habit formation and catching up with the Joneses. American Economic Review Papers and Proceedings 80, pp. 38-42.
Alaganar, V.T., and Bhar, R., 2001. Diversification gains from American depositary receipts and foreign equities: evidence from Australian stocks. Journal of International Financial Markets, Institutions and Money 11, pp. 97–113.
Boudoukh, J., 1993. An equilibrium model of nominal bond prices with inflation-output correlation and stochastic volatility. Journal of Money, Credit, and banking 25, pp. 636-665.
Campbell, J., and Cochrane, J.H., 1999. By force of habit: a consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107, pp. 205-251.
Choia, Y.K., and Kim, D., 2000. Determinants of American Depositary Receipts and their underlying stock returns Implications for international diversification. International Review of Financial Analysis, pp. 351-368.
Constantinides, G., 1990. Habit formation: a resolution of the equity premium puzzle. Journal of Political Economy 98, pp. 519-543.
Cox, Q., Ingersoll, J., and Ross, S., 1985. A theory of the term structure of interest rates. Econometrica 53, pp. 385-408.
Dante Suarez, E., 2005. Arbitrage opportunities in the depositary receipts market: Myth or reality? International Financial Markets, Institutions and Money 15, pp. 469–480.
Errunza, V., and Miller, D.P. , 2000. Market Segmentation and the Cost of Capital in International Equity Markets. Journal of Finance and Quantitative Analysis 35, pp. 577-600.
Ferson, W.E., and Constantinides, G., 1991. Habit Persistence and Durability in Aggregate Consumption: Empirical Tests. Journal of Financial Economics 29, pp. 199-240.
Foerster, S.R., and Karolyi, G.A., 1999. The Effects of Market Segmentation and Investor Recognition on Asset Prices: Evidence from Foreign Stock Listing in the United States. Journal of finance 24, pp. 763-784.
Mehra, L., Santos, T., and Veronesi, P., 2004. The equity premium puzzle. Journal of Monetary Economics 15, pp. 145-161.
Patro, D.K., 2000. Return Behavior and Pricing of American Depositary Receipts. Journal of International Financial Markets, Institutions and Money, 10, pp. 43-67.
Suarez, E.D., 2005. Arbitrage opportunities in the depositary receipts market: Myth or reality? International Financial Markets, Institutions and Money 15, pp. 469–480.
Sundaresan, S., 1989. Intertemporally dependent preferences and the volatility of consumption and wealth. Review of Financial Studies 2, pp. 73-88.
Wachter, J., 2005. Solving models with external habit. Finance Research Letters 2, pp. 210-226.
Wachter, J., 2006. A consumption-based model of the term structure of interest rates. Journal of Financial Economics 79, pp. 365-399.
Wahab, M., and Khandwala, A., 1993. Why not Diversify Internationally with ADRs? Journal of Portfolio Management 20, pp. 75-83.